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On the independence between risk profiles in the compound collective risk actuarial model

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  • Martel-Escobar, M.
  • Hernández-Bastida, A.
  • Vázquez-Polo, F.J.

Abstract

This paper examines a compound collective risk model in which the primary distribution comprised the Poisson–Lindley distribution with a λ parameter, and where the secondary distribution is an exponential one with a θ parameter. We consider the case of dependence between risk profiles (i.e., the parameters λ and θ), where the dependence is modelled by a Farlie–Gumbel–Morgenstern family. We analyze the consequences of the dependence on the Bayes premium. We conclude that the consequences of the dependence on the Bayes premium may vary considerably.

Suggested Citation

  • Martel-Escobar, M. & Hernández-Bastida, A. & Vázquez-Polo, F.J., 2012. "On the independence between risk profiles in the compound collective risk actuarial model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(8), pages 1419-1431.
    • Handle: RePEc:eee:matcom:v:82:y:2012:i:8:p:1419-1431
    DOI: 10.1016/j.matcom.2012.01.003
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    References listed on IDEAS

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    Cited by:

    1. V. J. García & M. Martel & F.J. Vázquez-Polo, 2015. "Complementary information for skewness measures," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(4), pages 442-459, November.
    2. Agustín Hernández-Bastida & M. Fernández-Sánchez, 2012. "A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(4), pages 391-409, November.

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